Narrow search
Showing 1 - 10 of 19
Cover Image
Pricing general barrier options : a numerical approach using sharp large deviations
Baldi, Paolo; Caramellino, Lucia; Iovino, Maria Gabriella - In: Mathematical finance : an international journal of … 9 (1999) 3, pp. 293-322
Persistent link: https://www.econbiz.de/10001444185
Cover Image
Exotic options pricing under special Lévy process models : a biased control variate method approach
Jia, Jiayi; Lai, Yongzeng; Li, Lin; Tan, Vinna - In: Finance research letters 34 (2020), pp. 1-4
Persistent link: https://www.econbiz.de/10012436769
Cover Image
A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options
Reesor, R. Mark; Stentoft, Lars; Zhu, Xiaotian - In: Finance research letters 64 (2024), pp. 1-16
Persistent link: https://www.econbiz.de/10014531706
Cover Image
MCMC estimation of Lévy jump models using stock and option prices
Yu, Cindy L.; Li, Haitao; Wells, Martin T. - In: Mathematical finance : an international journal of … 21 (2011) 3, pp. 383-422
Persistent link: https://www.econbiz.de/10009155205
Cover Image
True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10003818229
Cover Image
A common jump factor stochastic volatility model
Laurini, Márcio Poletti; Mauad, Roberto Baltieri - In: Finance research letters 12 (2015), pp. 2-10
Persistent link: https://www.econbiz.de/10011551744
Cover Image
Equilibrium option pricing : a Monte Carlo approach
Buchner, Axel - In: Finance research letters 15 (2015), pp. 138-145
Persistent link: https://www.econbiz.de/10011553023
Cover Image
Monte Carlo method for the valuation of multiple-exercise options
Meinshausen, Nicolai; Hambly, Ben - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 557-583
Persistent link: https://www.econbiz.de/10002396369
Cover Image
On the error in the Monte Carlo pricing of some familiar European path-dependent options
Hörfelt, Per - In: Mathematical finance : an international journal of … 15 (2005) 2, pp. 345-357
Persistent link: https://www.econbiz.de/10002725503
Cover Image
Asymptotically optimal importance sampling and stratification for pricing path-dependent options
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 9 (1999) 2, pp. 117-152
Persistent link: https://www.econbiz.de/10001372181